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Frontiers of Risk Management, Volume I
book

Frontiers of Risk Management, Volume I

by Dennis Cox
July 2018
Intermediate to advanced content levelIntermediate to advanced
256 pages
6h 22m
English
Business Expert Press
Content preview from Frontiers of Risk Management, Volume I

CHAPTER 10

Correlation Causes Questions: Environmental Consistency Confidence in Wholesale Financial Institutions

Michael Mainelli

Z/Yen Group Limited

Introduction

Wholesale financial institutions have tried a number of approaches for managing and modeling operational risk, with limited success. Z/Yen Group Limited, for example, has developed an approach called environmental consistency confidence (ECC) meaning, basically, if you can predict incidents and losses with some degree of confidence, then your modeling is useful. It is often said, “correlation doesn’t demonstrate causation.” That is true, but “correlation should cause questions.” The core of environmental consistency confidence is using modern statistical models to manage financial ...

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Publisher Resources

ISBN: 9781947098473